CPT vs XLRE: returns, Sharpe ratio and drawdown
Performance
CPT-5.08%XLRE-0.68%
Summary
CPT vs XLRE
Over the past year, XLRE returned -0.68% against -5.08% for CPT. Over five years, XLRE averaged -2.44% a year, compared with -9.24% for CPT. XLRE had the higher Sharpe ratio over the past year (-0.30 vs -0.41), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.82% for XLRE and -18.52% for CPT.
Current Drawdown
CPT-17.71%XLRE-11.21%
Rolling Volatility
CPT+1.01%XLRE+0.67%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CPTXLRE
Alpha
CPT
-8.92%
XLRE
-7.24%
Beta
CPT
0.10x
XLRE
0.28x
Sharpe
CPT
-0.41
XLRE
-0.30
Sortino
CPT
-0.56
XLRE
-0.41
Omega
CPT
0.94
XLRE
0.95
Calmar
CPT
-0.27
XLRE
-0.06
Martin
CPT
-1.12
XLRE
-1.01
Comparisons